CLA (Q117313)
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Critical Line Algorithm in Pure R
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | CLA |
Critical Line Algorithm in Pure R |
Statements
Yanhao Shi,martin Maechler
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Yanhao Shi
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29 July 2024
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Implements 'Markowitz' Critical Line Algorithm ('CLA') for classical mean-variance portfolio optimization, see Markowitz (1952) <doi:10.2307/2975974>. Care has been taken for correctness in light of previous buggy implementations.
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